A two-stage stochastic mixed-integer programming approach to the index tracking problem
From MaRDI portal
Publication:374678
DOI10.1007/s11081-009-9095-1zbMath1273.91430OpenAlexW2027515466MaRDI QIDQ374678
Roy H. Kwon, Stephen J. Stoyan
Publication date: 24 October 2013
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11081-009-9095-1
Applications of mathematical programming (90C90) Mixed integer programming (90C11) Stochastic programming (90C15) Portfolio theory (91G10)
Related Items (4)
Parallel PIPS-SBB: multi-level parallelism for stochastic mixed-integer programs ⋮ Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm ⋮ An enhanced GRASP approach for the index tracking problem ⋮ Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
Cites Work
- Unnamed Item
- Unnamed Item
- Generating Scenario Trees for Multistage Decision Problems
- Optimal portfolio selection and dynamic benchmark tracking
- On-line portfolio selection using stochastic programming
- Dynamic models for fixed-income portfolio management under uncertainty
- Dual decomposition in stochastic integer programming
- Stochastic programming with integer variables
- Duality gaps in nonconvex stochastic optimization
- An evolutionary heuristic for the index tracking problem.
- A two-stage planning model for power scheduling in a hydro-thermal system under uncertainty
- A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes
- An Exact Penalty Method for Mixed-Integer Programs
- The Distribution of Stock Returns When the Market Is Up
- Scenarios for multistage stochastic programs
This page was built for publication: A two-stage stochastic mixed-integer programming approach to the index tracking problem
